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(2011 / vol.13 / no.1)
BUILDING SIGNAL EXTRACTION MODEL BASED ON NEW OBJECTIVE FUNCTION
KYUNG-SOO KIM
Pages. 7-13   



This paper builds a signal extraction model of currency crisis prediction based on new objective function. The optimal threshold of early warning indicators minimizes the new objective function, more general than the noise-signal ratio which the current signal extraction model depends upon. Using composite crisis index and its associated cut-off probability the paper shows that the crisis forecast based on the general objective function performs better.



1. Introduction
2. Building signal extraction model
3. Concluding Remarks